I did quite a bit of testing. In my case, plays are tracked correctly from catalog albums, library albums, and catalog playlists that are not saved to the library. However, tracks played from a catalog playlist that is saved to the user’s library are never returned by MusicRecentlyPlayedRequest.
I confirmed this with the same song: played from the saved playlist → missing; played directly from its album → immediately tracked.
Also worth noting: I’m now only getting ~160 items in the response, instead of the ~200 I was previously seeing.